I'm not 100% sure what you mean by in aliases, I'm assuming you mean how do you make text underlined when you are typing in the alias (alt+a) window? If thats the case, simply do it like you would anywhere else in mIRC. Hold ctrl then press u, then type the text you want underlined, then type another ctrl+u to end the underlined text. If that's not what you meant, then can you be a bit more specific?